Not possible with regular options, all menus uses the default windows appeareance settings. You will need to do with owner-draw functions. This is a complex task.
Some related articles:
http://www.codeproject.com/KB/menus/CMenuEx.aspxhttp://www.codeproject.com/KB/menus/menuch.aspxhttp://www.codeguru.com/Cpp/controls/menu/article.php/c3721